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Operational Risk Control with Basel II
book

Operational Risk Control with Basel II

by Dimitris N. Chorafas
November 2003
Intermediate to advanced content levelIntermediate to advanced
400 pages
12h 48m
English
Butterworth-Heinemann
Content preview from Operational Risk Control with Basel II
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128 Operational Risk Control
Three different risk levels – low, medium, and high – define frequency of
operational risk audit. The computed values taken by QAF vary from 1 to 15, and
they impact on economic capital allocation for operational risk. Altogether,
Citigroup’s qualitative and quantitative effort for operational risk valuation is a
first class solution.
6.5 The choice among methods for operational risk modeling
Theoretically, but only theoretically, the more sophisticated modeling of operational
risk is accompanied by a corresponding reduction in capital charges. The practice will
most likely show otherwise. What is important ...
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Publisher Resources

ISBN: 9780750659093